# ifndef CPPAD_UTILITY_LU_INVERT_HPP
# define CPPAD_UTILITY_LU_INVERT_HPP
/* --------------------------------------------------------------------------
CppAD: C++ Algorithmic Differentiation: Copyright (C) 2003-18 Bradley M. Bell

CppAD is distributed under the terms of the
             Eclipse Public License Version 2.0.

This Source Code may also be made available under the following
Secondary License when the conditions for such availability set forth
in the Eclipse Public License, Version 2.0 are satisfied:
      GNU General Public License, Version 2.0 or later.
---------------------------------------------------------------------------- */

/*
$begin LuInvert$$
$spell
    cppad.hpp
    Lu
    Cpp
    jp
    ip
    const
    namespace
    typename
    etmp
$$


$section Invert an LU Factored Equation$$

$pre
$$

$head Syntax$$
$codei%# include <cppad/utility/lu_invert.hpp>
%$$
$codei%LuInvert(%ip%, %jp%, %LU%, %X%)%$$


$head Description$$
Solves the matrix equation $icode%A% * %X% = %B%$$
using an LU factorization computed by $cref LuFactor$$.

$head Include$$
The file $code cppad/lu_invert.hpp$$ is included by $code cppad/cppad.hpp$$
but it can also be included separately with out the rest of
the $code CppAD$$ routines.

$head Matrix Storage$$
All matrices are stored in row major order.
To be specific, if $latex Y$$ is a vector
that contains a $latex p$$ by $latex q$$ matrix,
the size of $latex Y$$ must be equal to $latex  p * q $$ and for
$latex i = 0 , \ldots , p-1$$,
$latex j = 0 , \ldots , q-1$$,
$latex \[
    Y_{i,j} = Y[ i * q + j ]
\] $$

$head ip$$
The argument $icode ip$$ has prototype
$codei%
    const %SizeVector% &%ip%
%$$
(see description for $icode SizeVector$$ in
$cref/LuFactor/LuFactor/SizeVector/$$ specifications).
The size of $icode ip$$ is referred to as $icode n$$ in the
specifications below.
The elements of $icode ip$$ determine
the order of the rows in the permuted matrix.

$head jp$$
The argument $icode jp$$ has prototype
$codei%
    const %SizeVector% &%jp%
%$$
(see description for $icode SizeVector$$ in
$cref/LuFactor/LuFactor/SizeVector/$$ specifications).
The size of $icode jp$$ must be equal to $icode n$$.
The elements of $icode jp$$ determine
the order of the columns in the permuted matrix.

$head LU$$
The argument $icode LU$$ has the prototype
$codei%
    const %FloatVector% &%LU%
%$$
and the size of $icode LU$$ must equal $latex n * n$$
(see description for $icode FloatVector$$ in
$cref/LuFactor/LuFactor/FloatVector/$$ specifications).

$subhead L$$
We define the lower triangular matrix $icode L$$ in terms of $icode LU$$.
The matrix $icode L$$ is zero above the diagonal
and the rest of the elements are defined by
$codei%
    %L%(%i%, %j%) = %LU%[ %ip%[%i%] * %n% + %jp%[%j%] ]
%$$
for $latex i = 0 , \ldots , n-1$$ and $latex j = 0 , \ldots , i$$.

$subhead U$$
We define the upper triangular matrix $icode U$$ in terms of $icode LU$$.
The matrix $icode U$$ is zero below the diagonal,
one on the diagonal,
and the rest of the elements are defined by
$codei%
    %U%(%i%, %j%) = %LU%[ %ip%[%i%] * %n% + %jp%[%j%] ]
%$$
for $latex i = 0 , \ldots , n-2$$ and $latex j = i+1 , \ldots , n-1$$.

$subhead P$$
We define the permuted matrix $icode P$$ in terms of
the matrix $icode L$$ and the matrix $icode U$$
by $icode%P% = %L% * %U%$$.

$subhead A$$
The matrix $icode A$$,
which defines the linear equations that we are solving, is given by
$codei%
    %P%(%i%, %j%) = %A%[ %ip%[%i%] * %n% + %jp%[%j%] ]
%$$
(Hence
$icode LU$$ contains a permuted factorization of the matrix $icode A$$.)


$head X$$
The argument $icode X$$ has prototype
$codei%
    %FloatVector% &%X%
%$$
(see description for $icode FloatVector$$ in
$cref/LuFactor/LuFactor/FloatVector/$$ specifications).
The matrix $icode X$$
must have the same number of rows as the matrix $icode A$$.
The input value of $icode X$$ is the matrix $icode B$$ and the
output value solves the matrix equation $icode%A% * %X% = %B%$$.


$children%
    example/utility/lu_invert.cpp%
    omh/lu_invert_hpp.omh
%$$
$head Example$$
The file $cref lu_solve.hpp$$ is a good example usage of
$code LuFactor$$ with $code LuInvert$$.
The file
$cref lu_invert.cpp$$
contains an example and test of using $code LuInvert$$ by itself.

$head Source$$
The file $cref lu_invert.hpp$$ contains the
current source code that implements these specifications.

$end
--------------------------------------------------------------------------
*/
// BEGIN C++
# include <cppad/core/cppad_assert.hpp>
# include <cppad/utility/check_simple_vector.hpp>
# include <cppad/utility/check_numeric_type.hpp>

namespace CppAD { // BEGIN CppAD namespace

// LuInvert
template <class SizeVector, class FloatVector>
void LuInvert(
    const SizeVector  &ip,
    const SizeVector  &jp,
    const FloatVector &LU,
    FloatVector       &B )
{   size_t k; // column index in X
    size_t p; // index along diagonal in LU
    size_t i; // row index in LU and X

    typedef typename FloatVector::value_type Float;

    // check numeric type specifications
    CheckNumericType<Float>();

    // check simple vector class specifications
    CheckSimpleVector<Float, FloatVector>();
    CheckSimpleVector<size_t, SizeVector>();

    Float etmp;

    size_t n = ip.size();
    CPPAD_ASSERT_KNOWN(
        size_t(jp.size()) == n,
        "Error in LuInvert: jp must have size equal to n * n"
    );
    CPPAD_ASSERT_KNOWN(
        size_t(LU.size()) == n * n,
        "Error in LuInvert: Lu must have size equal to n * m"
    );
    size_t m = size_t(B.size()) / n;
    CPPAD_ASSERT_KNOWN(
        size_t(B.size()) == n * m,
        "Error in LuSolve: B must have size equal to a multiple of n"
    );

    // temporary storage for reordered solution
    FloatVector x(n);

    // loop over equations
    for(k = 0; k < m; k++)
    {   // invert the equation c = L * b
        for(p = 0; p < n; p++)
        {   // solve for c[p]
            etmp = B[ ip[p] * m + k ] / LU[ ip[p] * n + jp[p] ];
            B[ ip[p] * m + k ] = etmp;
            // subtract off effect on other variables
            for(i = p+1; i < n; i++)
                B[ ip[i] * m + k ] -=
                    etmp * LU[ ip[i] * n + jp[p] ];
        }

        // invert the equation x = U * c
        p = n;
        while( p > 0 )
        {   --p;
            etmp       = B[ ip[p] * m + k ];
            x[ jp[p] ] = etmp;
            for(i = 0; i < p; i++ )
                B[ ip[i] * m + k ] -=
                    etmp * LU[ ip[i] * n + jp[p] ];
        }

        // copy reordered solution into B
        for(i = 0; i < n; i++)
            B[i * m + k] = x[i];
    }
    return;
}
} // END CppAD namespace
// END C++
# endif
